Dealer positioning

0DTE options: why same-day expiries dominate intraday flow

0DTE options expire the same day they trade. SPX, SPY and QQQ list expiries every weekday, and E-mini futures options do too, so on any given session a large share of index options volume is in contracts that will be gone by the close.

Why their Greeks are extreme

Gamma at the money grows roughly like 1/√T. With hours left it's enormous and packed into a narrow band of strikes around price.
Charm grows like 1/T: deltas change quickly with price standing still.
Theta is concentrated: premium can melt inside one session.
Vega is small: a same-day option is a bet on movement, not on implied volatility.

What it does to a gamma map

Because same-day gamma grows into the close, a gamma map drawn on one scale for the whole day looks empty in the morning and saturated in the afternoon. Zanshin Flow scales each minute against the largest value of the previous 30 minutes so both halves of the day stay readable. Through the session the map sharpens onto the strikes nearest price; that's color at work.

Pinning

Academic work (Ni, Pearson and Poteshman, 2005) found stock closes cluster at strikes with large open interest on monthly expiration days. On our archive of same-day index books we found no such effect from 15:00 or 15:30: the biggest 0DTE strike finished no closer than comparable strikes. The published effect is on monthly expiries, which carry far more open interest.

SPX 0DTE absolute gamma beside the 0DTE charm surface, in ES prices, in Zanshin Flow — Today's expiry only: SPX 0DTE gamma and the charm it brings into the close.

Questions

What does 0DTE mean?

Zero days to expiration: options traded on the day they expire.

Which products have daily expirations?

SPX, SPY and QQQ list options expiring every weekday, as do E-mini S&P 500 and Nasdaq-100 futures options.

Why do 0DTE options have so much gamma?

At-the-money gamma scales roughly with 1/√T, so with hours left it becomes very large and concentrated near the current price.

Not financial advice. This article explains how options and dealer hedging work. It is not a recommendation to buy or sell anything.